We study the effects of pre-recombination physics on the Stochastic Gravitational Wave Background (SGWB) anisotropies induced by the propagation of gravitons through the large-scale density perturbations and their cross-correlation with Cosmic Microwave Background (CMB) temperature and E-mode polarization ones. As examples of Early Universe extensions to the $Lambda$CDM model, we consider popular models featuring extra relativistic degrees of freedom, a massless non-minimally coupled scalar field, and an Early Dark Energy component. Assuming the detection of a SGWB, we perform a Fisher analysis to assess in a quantitative way the capability of future gravitational wave interferometers (GWIs) in conjunction with a future large-scale CMB polarization experiment to constrain such variations. Our results show that the cross-correlation of CMB and SGWB anisotropies will help tighten the constraints obtained with CMB alone, with an improvement that significantly depends on the specific model as well as the maximum angular resolution $ell_{rm max}^{rm GW}$ of the GWIs, their designed sensitivity, and the amplitude $A_*$ of the monopole of the SGWB.
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